Dynamic Performance Evaluation of Canadian Fixed-Income Funds using Markov Regime Switching Models

This thesis examines the performance of Canadian fixed-income mutual funds in the context of an unobservable market factor that affects mutual fund returns. We use various selection and timing models augmented with univariate and multivariate regime-switching structures. These models assume a joint distribution of an unobservable latent variable and fund returns. The fund sample comprises six Canadian value-weighted portfolios with different investing objectives from 1980 to 2011. These are the Canadian fixed-income funds, the Canadian inflation protected fixed-income funds, the Canadian long-term fixed-income funds, the Canadian money market funds, the Canadian short-term fixed-income funds and the high yield fixed-income funds. We find strong evidence that more than one state variable is necessary to explain the dynamics of the returns on Canadian fixed-income funds. For instance, Canadian fixed-income funds clearly show that there are two regimes that can be identified with a turning point during the mid-eighties. This structural break corresponds to an increase in the Canadian bond index from its low values in the early 1980s to its current high values. Other fixed-income funds results show latent state variables that mimic the behaviour of the general economic activity. Generally, we report that Canadian bond fund alphas are negative. In other words, fund managers do not add value through their selection abilities. We find evidence that Canadian fixed-income fund portfolio managers are successful market timers who shift portfolio weights between risky and riskless financial assets according to expected market conditions. Conversely, Canadian inflation protected funds, Canadian long-term fixed-income funds and Canadian money market funds have no market timing ability. We conclude that these managers generally do not have positive performance by actively managing their portfolios. We also report that the Canadian fixed-income fund portfolios perform asymmetrically under different economic regimes. In particular, these portfolio managers demonstrate poorer selection skills during recessions. Finally, we demonstrate that the multivariate regime-switching model is superior to univariate models given the dynamic market conditions and the correlation between fund portfolios.

Triarylamminium radical-cation complexes: design and magnetic properties and Base-catalyzed hydrosilylation: mechanism and substrate scope

1. Triarylamminium radical-cation complexes. The detailed study of manganese, copper and nickel metal-radical complexes with triarylamminium ligands was conducted. Stable, neutral and pseudo-octahedral coordination monometallic complexes with simple monodentate 2,2`-bipyridine ligand containing a redox-active N,N`-(4,4`-dimethoxydiphenyl-amino) substituent were synthesized and fully characterized. The one-electron oxidation process and formation of persistent radical-cation complexes was observed by cyclic voltammetry and spectroelectrochemical measurements. Evans method measurements were performed with radical-cation complexes generated by chemical one-electron oxidation with NOPF6 in acetonitrile. The experimental results indicate ferromagnetic coupling between metal and triarylamminium cation in manganese (II) complex and antiferromagnetic coupling in nickel (II) complex. This data is supported by DFT calculations which also lend weight to the  spin polarization mechanism as an operative model for magnetic exchange coupling. Neutral bimetallic complexes with a new ditopic ligand were synthesized and fully characterized, including magnetic and electrochemical studies. Chemical oxidation of these precursor complexes did not generate radical-cations, but dicationic complexes, which was confirmed by UV-vis and EPR-experiments, as well as varied temperature magnetic measurements. DFT calculations for radical-cation complexes are included. A synthetic pathway for polytopic ligand with multiple redox-active triarylamine sites was developed. The structure of the ligand is presumably suitable for -spin polarization exchange model and allows for production of polymetallic complexes having high spin ground states. 2. Base-catalyzed hydrosilylation. A simple reductive base-catalyzed hydrosilation of aldehydes and ketones was adapted to the use of the cheap, safe, and non-toxic polymethylhydrosiloxane (PMHS) instead of the common PhSiH3 and (EtO)3SiH, which present significant cost and safety concerns, respectively. The conversion of silane into pentacoordinate silicate species upon addition of a base was studied in details for the cases of phenyl silane and PMHS and is believed to be essential for the hydrosilylation process. We discovered that nucleophiles (a base or fluoride-anion) induced the rearrangement of PMHS and TMDS into light silanes: MeSiH3 and Me2SiH2, respectively. The reductive properties of PMHS under basic conditions can be attributed to the formation of methyl silane and its conversion into a silicate species. A procedure for the generation of methyl silane and its use in further efficient reductions of aldehydes and ketones has been developed. The protocol was extended to the selective reduction of esters and tertiary amides into alcohols and aldimines into amines with good isolated yields and reduction of heterocyclic compounds was attempted.

A DYNAMIC FRAMEWORK FOR THE RELATIONS BETWEEN FOREIGN EXCHANGE RATES, SAVINGS AND INVESTMENTS

The Meese-Rogoff forecasting puzzle states that foreign exchange (FX) rates are unpredictable. Since one country’s macroeconomic conditions could affect the price of its national currency, we study the dynamic relations between the FX rates and some macroeconomic accounts. Our research tests whether the predictability of the FX rates could be improved through the advanced econometrics. Improving the predictability of the FX rates has important implications for various groups including investors, business entities and the government. The present thesis examines the dynamic relations between the FX rates, savings and investments for a sample of 25 countries from the Organization for Economic Cooperation and Development. We apply quarterly data of FX rates, macroeconomic indices and accounts including the savings and the investments over three decades. Through preliminary Augmented Dickey-Fuller unit root tests and Johansen cointegration tests, we found that the savings rate and the investment rate are cointegrated with the vector (1,-1). This result is consistent with many previous studies on the savings-investment relations and therefore confirms the validity of the Feldstein-Horioka puzzle. Because of the special cointegrating relation between the savings rate and investment rate, we introduce the savings-investment rate differential (SID). Investigating each country through a vector autoregression (VAR) model, we observe extremely insignificant coefficient estimates of the historical SIDs upon the present FX rates. We also report similar findings through the panel VAR approach. We thus conclude that the historical SIDs are useless in forecasting the FX rate. Nonetheless, the coefficients of the past FX rates upon the current SIDs for both the country-specific and the panel VAR models are statistically significant. Therefore, we conclude that the historical FX rates can conversely predict the SID to some degree. Specifically, depreciation in the domestic currency would cause the increase in the SID.

A Study of Ordered Gene Problems Featuring DNA Error Correction and DNA Fragment Assembly with a Variety of Heuristics, Genetic Algorithm Variations, and Dynamic Representations

Ordered gene problems are a very common classification of optimization problems. Because of their popularity countless algorithms have been developed in an attempt to find high quality solutions to the problems. It is also common to see many different types of problems reduced to ordered gene style problems as there are many popular heuristics and metaheuristics for them due to their popularity. Multiple ordered gene problems are studied, namely, the travelling salesman problem, bin packing problem, and graph colouring problem. In addition, two bioinformatics problems not traditionally seen as ordered gene problems are studied: DNA error correction and DNA fragment assembly. These problems are studied with multiple variations and combinations of heuristics and metaheuristics with two distinct types or representations. The majority of the algorithms are built around the Recentering- Restarting Genetic Algorithm. The algorithm variations were successful on all problems studied, and particularly for the two bioinformatics problems. For DNA Error Correction multiple cases were found with 100% of the codes being corrected. The algorithm variations were also able to beat all other state-of-the-art DNA Fragment Assemblers on 13 out of 16 benchmark problem instances.

The Dynamic Interplay of Attachment and Temperament in Relation to Dimensions of Aggression

The current study examined whether overt and relational forms of reactive and proactive aggression were differentially related to adolescents’ temperament and attachment security. Measures of adolescents’ temperament, attachment security, and aggression were completed by 211 adolescents, ages 10–14, and their caregivers. Attachment security was consistently associated with all four dimensions of aggression, whereas proneness to frustration was found to be uniquely associated with reactive-overt aggression. Additionally, it was found that at lower levels of effortful control more secure attachment was related to lower levels of reactive-relational aggression. Results also indicated that, for girls, the relation between attachment and proactive-overt and proactive-relational aggression was only significant when effortful control was low. Conversely, for boys, the relation between attachment and proactive-overt aggression and proactive-relational aggression was significant when effortful control was high. Implications of these findings and limitations to the current study are discussed.

Characterizing Dynamic Optimization Benchmarks for the Comparison of Multi-Modal Tracking Algorithms

Population-based metaheuristics, such as particle swarm optimization (PSO), have been employed to solve many real-world optimization problems. Although it is of- ten sufficient to find a single solution to these problems, there does exist those cases where identifying multiple, diverse solutions can be beneficial or even required. Some of these problems are further complicated by a change in their objective function over time. This type of optimization is referred to as dynamic, multi-modal optimization. Algorithms which exploit multiple optima in a search space are identified as niching algorithms. Although numerous dynamic, niching algorithms have been developed, their performance is often measured solely on their ability to find a single, global optimum. Furthermore, the comparisons often use synthetic benchmarks whose landscape characteristics are generally limited and unknown. This thesis provides a landscape analysis of the dynamic benchmark functions commonly developed for multi-modal optimization. The benchmark analysis results reveal that the mechanisms responsible for dynamism in the current dynamic bench- marks do not significantly affect landscape features, thus suggesting a lack of representation for problems whose landscape features vary over time. This analysis is used in a comparison of current niching algorithms to identify the effects that specific landscape features have on niching performance. Two performance metrics are proposed to measure both the scalability and accuracy of the niching algorithms. The algorithm comparison results demonstrate the algorithms best suited for a variety of dynamic environments. This comparison also examines each of the algorithms in terms of their niching behaviours and analyzing the range and trade-off between scalability and accuracy when tuning the algorithms respective parameters. These results contribute to the understanding of current niching techniques as well as the problem features that ultimately dictate their success.

Using PageRank Algorithm in Analyzing Dictionary Graphs and PageRank in Dynamic Graphs

In this thesis we are going to analyze the dictionary graphs and some other kinds of graphs using the PagerRank algorithm. We calculated the correlation between the degree and PageRank of all nodes for a graph obtained from Merriam-Webster dictionary, a French dictionary and WordNet hypernym and synonym dictionaries. Our conclusion was that PageRank can be a good tool to compare the quality of dictionaries. We studied some artificial social and random graphs. We found that when we omitted some random nodes from each of the graphs, we have not noticed any significant changes in the ranking of the nodes according to their PageRank. We also discovered that some social graphs selected for our study were less resistant to the changes of PageRank.

Imopresiones y recuerdos de mis viajes a México

UANL

Memorias de mis tiempos

UANL

Mis quince dias de ministro ; remitido del ciudadano Melchor Ocampo al periodico titulado : La Revolución

UANL

Carta abierta a mis electores

UANL

Treinta años de Paris : á través de mi vida y de mis libros

UANL

Mis odios

UANL

Mis plagios : un discurso de Nuñez de Arce

UANL

Mis cuentos

UANL